The Euler-Maruyama method is extended to non-Wiener Lévy processes for additive and multiplicative noise, yielding an example with superior physical results over geometric Brownian motion and equivalence to a master equation via Kramers-Moyal expansion.
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Euler-Maruyama method for non-Wiener processes
The Euler-Maruyama method is extended to non-Wiener Lévy processes for additive and multiplicative noise, yielding an example with superior physical results over geometric Brownian motion and equivalence to a master equation via Kramers-Moyal expansion.